The Assassin’s Creed save games can be found in the following locations:

Windows XP

C:\Documents and Settings\<username>\Application Data\Ubisoft\Assassin's Creed\Saved Games

Windows Vista/7

C:\Users\<username>\AppData\Roaming\Ubisoft\Assassin's Creed\Saved Games

These are the default locations, if they are not in the respective location you can try searching for assassin.ini as they should be in the same folder.